JPH05225222A - Fund shift simulation system - Google Patents

Abstract

PURPOSE:To easily simulate the change of fund structure just for existent transactions attending on interest fluctuation by simulating the change of funds generated by the change of interest in the future and analyzing influences upon a financial coefficient in the future. CONSTITUTION:The predictive value of interest in the future is inputted and set by an interest predicting and setting program 206 with an interactive system to a user, and the value is stored in an interest predictive value file 222. A theoretical value calculation program 207 calculates the theoretical value data in the future of existing transaction data and stores those data in a theoretical value data file 223. A fund shifting information setting program 211 inputs and sets the shift information of funds with the interest fluctuation, and the information is stored in a fund shifting information file 225. According to the inputted and set data, a fund shifting future data calculation program 212 calculates future data just for fund shift and stores them in a fund shift future data file 226. A fund simulated result display program 213 sums up the further theoretical value of stepwise transaction data and the future data just for fund shift and stores them in a simulated result file 227.

Description

Detailed Description of the Invention

[0001]

BACKGROUND OF THE INVENTION 1. Field of the Invention The present invention relates to an asset / liability management method and an asset / liability management system of a financial institution, and to a dynamic analysis (simulation) method of the asset / liability in consideration of future interest rate trends and its system.

[0002]

2. Description of the Related Art A financial simulation is a conventional dynamic analysis of assets and liabilities. At Hitachi, Ltd., a financial institution integrated information system PP-21 (Profit Planning support system
stem-21st century) has realized the financial simulation function. For this function, refer to the manual "HI
TAC APP Financial Institution Integrated Information System PP-2
1 Headquarters information system Asset-liability management function DP-21 / AL,
DP-21 / AL / W Explanation ”(manual number: APP
-A-659), pages 73 to 86. The financial simulation sets future financial scenarios and interest rate scenarios, and estimates future financial balance. This function effectively supports financial and institutional financial and profit planning activities. The fund scenario is a change in the amount of funds in the future, and consists of a part related to existing transactions and a part to execute new transactions in the future. The interest rate scenario is a future interest rate trend and is set by the user arbitrarily. In the conventional financial simulation, the amount of future funds is calculated according to the assumptions that are related to the existing transactions regardless of future interest rate movements (for example, the automatic continuation assumption and the original addition continuation assumption for deposits). ing. The user inputs the new data interactively. Therefore, the portion related to the existing transaction will be fixed regardless of the interest rate trend from the user's point of view.

On the other hand, in the invention of Japanese Patent Application No. 3-72801, the user can arbitrarily set the cancellation date for each existing transaction data so that the cancellation of the transaction due to interest rate fluctuation can be considered. There is an invention that can change the part related to the existing transaction.

[0004]

[Problems to be Solved by the Invention] The financial structure relating to existing share transactions changes due to interest rate fluctuations. For example, if interest rates on time deposits change, depositors will try to change the investment destination of funds to more profitable and advantageous time deposits due to interest rate preference. As a result, the financial structure of existing transactions of financial institutions will change.

In the financial simulation given as a conventional example, the amount of funds related to the existing transaction is fixed irrespective of the trend of interest rates, so that there is a problem that it is not possible to consider changes in the cash structure due to interest rate fluctuations. is there. As a result, it is difficult to formulate highly accurate financial plans and profit plans.

Further, in the invention of Japanese Patent Application No. 3-72801, cancellation information has to be set for each transaction data item, which is difficult for a financial institution having a large amount of transaction data to put into practical use. .. Furthermore, it is not possible to consider the transfer destination of funds that are moved by cancellation, that is, the transfer of funds between financial instruments.

An object of the present invention is to provide a system capable of easily simulating changes in the cash structure of existing transactions due to interest rate fluctuations.

[0008]

[Means for Solving the Problems] To achieve the above-mentioned object, the present invention is also a conventional example, but future data in the future that does not consider the movement of funds due to interest rate fluctuations from transaction data of each case. And a means for holding the calculation result. Furthermore, a means for setting information on the movement of funds (hereinafter referred to as a cash shift) due to interest rate fluctuations, a means for calculating future data focusing only on the cash shift based on the set cash shift information, and the calculation result thereof. A new means for holding the future data that does not consider the cash shift and the future data for the cash shift and displaying the totaled result is provided, and the user can arbitrarily set the cash shift information and set the cash shift information. It is intended to be able to simulate the situation.

[0009]

In the present invention, first, future data in the future that does not take into account the movement of funds due to interest rate fluctuations is calculated from each transaction data. From the information set by the separately provided fund shift information setting means, the future data relating only to the fund shift is calculated, and this data and the future data calculated in the future that does not consider the fund transfer are aggregated. By doing so, the result of the fund shift simulation is obtained. In this way, the user can set the information arbitrarily by means of the fund shift information setting means and simulate the situation of the fund shift. In addition, by providing a means to calculate the future data related only to the cash shift, when the user changes the cash shift information and tries to simulate, a large amount of transaction data can be changed to the future data again. Does not have to be calculated.

[0010]

DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS FIG. 1 is a flow chart showing an asset / liability management method in a financial institution according to the present invention.

First, a future interest rate prediction value is set (step 101).

Next, the theoretical value of the future data relating to the already traded transaction is calculated (step 102). Here, the theoretical value is a value calculated according to the contract content at the time of contract execution. For example, taking a time deposit such as a market interest rate linked deposit (MMC) as an example, a method of calculating a theoretical value will be briefly described. In time deposit transactions, contract contents such as deposit amount, deposit interest rate, deposit period and continuation conditions after maturity are decided and contracted. Now, 1st May, 3 months, 2 deposits
Suppose that there is a fixed-term deposit transaction that is executed with an automatic renewal condition and an interest rate of 3.38%. This transaction content is 5
Interest rate 3.38% for 3 months from 1st to 31st July
It means that the deposit balance of 2 million yen. further,
3 months after August 1 as there is an automatic continuation condition, 1
This means that the deposit balance of 2 million yen will continue for three months after January 1, ... Assuming that the transaction continues according to the contract details, it is possible to calculate the balance and yield data for future days after the contract date. In step 102, future data (balance in the future, yield) assuming that the transaction continues according to the contract content is calculated.

In the next step (step 110), a fund shift simulation is executed. What is a fund shift?
It is the movement of funds accompanying interest rate fluctuations. Here too, a simple explanation will be given using a time deposit as an example. If the interest rate of a 6-month time deposit fluctuates to a level higher than that of a 3-month time deposit, depositors will try to deposit in a more profitable one due to interest rate preference. If the depositor of the transaction example that occurred on May 1 decides that it is better to invest in a 6-month fixed deposit than to invest in a 3-month fixed deposit, the transaction of the 3-month fixed deposit is canceled early or Cancel automatic continuation and make a new contract for a 6-month time deposit. In step 102, step 110 simulates the transfer of funds associated with fluctuations in interest rates, as in the case of time deposits, against the theoretical data that there is no transfer of funds other than the contract contents.

This step (step 110) is composed of three sub-steps (step 111 to step 113). First, fund shift information associated with interest rate fluctuations is set (step 111). The fund shift information includes the time when the fund transfer occurs (hereinafter referred to as the shift time), the ratio of the amount of funds transferred at that time to the theoretical value data (hereinafter referred to as the shift rate), and the transfer source of the transfer fund. A repricing cycle (hereinafter referred to as a rotation period) and the like. Details will be described in the description of FIG. 7. Based on the set fund shift information, future data for the fund shift is calculated (step 112). Finally, the future theoretical value data calculated in step 102 and step 11
The future data for the funds shift calculated in 2 is added up to aggregate the results of the funds shift simulation, and the result is output (step 113).

The above three substeps (step 11)
After executing the fund shift simulation consisting of 1 to step 113), if it is desired to change the fund shift information and re-simulate, the process returns to the fund shift simulation execution phase of step 110 (step 103). If it is desired to change the interest rate forecast value and perform re-simulation, the process returns to the interest rate forecast value setting phase of step 101 (step 104). If there is no need for re-simulation, the process ends.

FIG. 2 is a block diagram of a fund shift simulation system for computer-supporting the asset / liability management method in the financial institution shown in FIG. The fund shift simulation system includes a computing device 201 that calculates future data and the like, a terminal device 202 that is an interface with a user, and a storage device 203 that stores future data and the like.

The software configuration of the computing device 201 includes a system control program 204, a simulation execution control program 205, an interest rate forecast setting program 206, a theoretical value calculation program 207, and a fund shift simulation program group 210.

The system control program 204 controls input / output of data between the computing device 201, the terminal device 202 and the storage device 203 and other program groups 205, 206, 20 in the computing device 201.
7, 210 is a program for controlling the execution and corresponds to a so-called operating system or DB / DC system. Simulation execution control program 205
Is a program for controlling the overall flow of the flow chart of the asset / liability management method shown in FIG. 1, and a detailed flow chart will be described later with reference to FIG. The interest rate prediction program 206 is a program that realizes step 101 of the asset / liability management method shown in FIG. 1, and inputs and sets a predicted value of future interest rates in an interactive form with the user. For the detailed flowchart of this program 206, see FIG.
Will be described later. The theoretical value calculation program 207 is a program that realizes step 102 of the asset / liability management method shown in FIG. 1, and calculates the theoretical value data of the existing transaction data. A detailed flowchart of the program 207 will be described later with reference to FIG.

The fund shift simulation program group 210 is step 1 of the asset / liability management method shown in FIG.
It is a program group that realizes 10. This program group 2
Reference numeral 10 is composed of three subprograms corresponding to the substep group (steps 111 to 113) forming step 110 of FIG. The three subprograms are a fund shift information setting program 211, a fund shift amount future data calculation program 212, and a fund simulation result display program 213.

The fund shift information setting program 211 is
This is a program for realizing step 111 of FIG. 1, and inputs and sets shift information of funds associated with interest rate fluctuations in an interactive form with the user. The flowchart of this program 211 will be described later in detail with reference to FIG. The fund shift amount future data calculation program 212 is a program that realizes step 112 of FIG. 1, and calculates the fund shift amount future data according to the data input and set by the fund shift information setting program 211. The flowchart of the program 212 will be described later in detail with reference to FIGS. 14, 15 and 16. The fund simulation result display program 213 is executed in step 113 of FIG.
Theoretical value calculation program 2
It is a program that totals the future theoretical value of the existing transaction data calculated in 07 and the future data for the fund shift calculated by the fund shift amount future data calculation program 212, and outputs the result.

Next, various files 221 to 227 stored in the storage device 203 will be described.

The transaction data file 221 is a file for storing transaction data for existing transactions such as transaction details of time deposits. The file 221 corresponds to the ledger file of the accounting system of a financial institution. An example of the transaction data file 221 will be briefly described later with reference to FIG. The interest rate forecast value file 222 is a file that stores a forecast value of future interest rates input by the interest rate forecast setting program 206, and is set by the program 206. Regarding the file structure of this file 222,
It will be described later with reference to FIG. Theoretical data file 223
Is a file that stores the theoretical future value of the existing transaction data calculated by the theoretical value calculation program 207, and is set by the program 207. The file structure of this file will be described later with reference to FIG. The volume transition rate table 224 is a table for storing transition data of the future theoretical amount of funds of existing transaction data.
The theoretical data of the theoretical amount of funds is the theoretical value calculation program 2
07 is calculated when calculating the future theoretical value and is set in the volume transition rate table 224. For details, see FIG.
This will be described when explaining the flowchart of the theoretical value calculation program 207 using. Volume transition rate table 22
The structure of No. 4 will be described later with reference to FIG. The fund shift information file 225 is a file that stores the fund shift information input by the fund shift information setting program 211, and is set by the program 211 in this file 225. The structure of this file 225 will be described later with reference to FIG. 7. The data file 226 for the future of the fund shift is
It is a file that stores the future data for the fund shift calculated by the fund shift future data calculation program 212, the structure of which will be described later with reference to FIG. This file 22
Data set to 6 is set by the fund shift amount future data calculation program 212. Finally, the simulation result file 227 is a file for storing the data of the fund shift simulation result aggregated by the fund simulation result display program 213, and the program 213 sets the data. This file 227
The file structure of will be described later with reference to FIG.

FIG. 3 shows an example of the file structure of the transaction data file 221 in FIG. Here, a transaction data file of a fixed deposit is taken as an example. The fixed deposit transaction data file 221 is composed of a plurality of stored records 300. One stored record 300 is assigned to each transaction. The storage record 300 is composed of a plurality of area groups 301 to 308. The subject code 301 area is an area for storing the account subject code of deposit transactions. The account number area 302 is an area for storing the account number of the deposit trader. A deposit date area 303 is a day when a deposit is made (a day when a certain amount is deposited), and an amount area 304 is an area for storing a deposit amount. The contract interest rate area 305 is an area for storing the deposit interest rate (yield) determined at the time of deposit transaction contract. The term area 306 is an area for storing a deposit term. The maturity date area 307 is an area for storing the date when the deposit contract is due and the transaction contract reaches its maturity. The continuation flag area 308 is an area for storing the continuation condition of the transaction after the expiration date.

The contents of the areas 301 to 308 will be described based on the example shown in FIG. First, it is assumed that the account item code of the 3-month fixed deposit is "10003" and the account item code of the 6-month fixed deposit is "10006". The transaction content stored in the first record 300 is as follows. 3-month time deposit on May 1, 1991
(Subject code is "10003"), the depositor's account number is "1234", the deposit amount is "2 million yen",
The deposit yield is “3.38%”. Since it is a three-month time deposit, the deposit period is "3 months" and the maturity date is "August 1, 1991". This transaction has an automatic continuation condition (continuation flag is "automatic"). Here, the automatic continuation condition is a condition that the transaction content automatically promises to continue the contract when the maturity date comes. In the example of the first record 300, the maturity date arrives on August 1, 1991, which means that the same three-month fixed deposit is continued after August 1, 1991.

Hereinafter, the first embodiment will be described by taking the four time deposit transaction data shown in FIG. 3 as a specific example.

FIG. 4 is a diagram showing the file structure of the interest rate forecast value file 222 in FIG. Book file 2
22 is composed of a plurality of stored records 400,
One record 400 is assigned for each subject code. This record 400 is composed of a subject code storage area 401 and a plurality of period field groups 410. The subject code storage area 401 is an area for storing the subject code, and is set in advance when creating this file 222. The period field group 410 is a field for storing the predicted value of the interest rate of the subject (the subject indicated by the subject code area 401) in the relevant period. Here, the term represents a period unit for managing assets and liabilities, and in this embodiment, it is monthly. “Period i” means the i-th month from the reference month (hereinafter referred to as the reference month) in managing assets and liabilities. In the present embodiment, the reference month will be July 1991, and the present embodiment will be described below. The user arbitrarily sets how long the period field group 410 is to be set (that is, the set value of n), and is determined when the file 222 is created. Each area 401 and field group 410 will be described by taking the first record 400 as an example. In this record 400, the subject code is “10003”, that is, the predicted value of the interest rate for the three-month time deposit after the reference month is stored. Forecast value one month ahead (value of period 1 field 411)
Is 3.63%, the forecast value two months ahead (period 2 field 4
12 value) is 4.08%, 3 months ahead (period 3 field 4
13 value) is 4.08%, ...
The interest rate forecast value stored in the period field group 410 is set by executing the interest rate forecast value setting program 206, as described above.

FIG. 5 shows the file structure of the theoretical value data file 223 in FIG. The theoretical value data file 223 is a file for storing the future theoretical value of the existing transaction data calculated by the theoretical value calculation program 207. The numerical data shown in this figure (FIG. 5) is a collection of theoretical future values of the four transaction data examples shown in FIG. The file 223 is composed of a plurality of stored records 500, and one record 500 is assigned to each subject code. This record 500 includes a subject code area 501, a result field 502, and a plurality of period fields 510 and 52.
0, 530, ... The number of period fields (value of n) is the interest rate forecast value file 222 shown in FIG.
It is configured to match the number of period fields in. The subject code area 501 is an area for storing the subject code, and is set in advance when creating this file 223. The actual field 502 stores the balance, yield and income and expenditure data of the reference month in the period field groups 510, 5
20 ... are fields for storing theoretical values of balance, yield, and balance for this period. Achievement field 5
02 is a balance storage area 503, a yield storage area 504
And balance storage area 505, which are areas for storing balance, yield, and balance data, respectively. In this embodiment, the reference month is the latest month for which the actual value aggregation has been completed. Therefore, the data stored in the record field 502 is the record data of the latest month. Similarly to the actual result field 502, the period field groups 510, 520, ... Have balance storage areas 511, 52.
1, ..., Yield storage areas 512, 522, ... and Balance storage areas 513, 523 ,.
Areas for storing theoretical value data of balance, yield, and balance, respectively.

Taking the first record 500 as an example, each area 501 and field group 502, 510, 52
0, ... will be explained. This record 500 stores the actual data of the reference month and the theoretical value data of the future months regarding the subject code “10003”, that is, the 3-month fixed deposit. The actual balance of the base month is "4 million yen", the actual yield is "3.4425%", and the actual balance is "11,4".
75 yen ". The theoretical balance after one month is "400
10,000 yen ", theoretical yield is" 3.5675% ", and theoretical balance is" 11,892 yen ". The theoretical values for the future after 2 months and 3 months are as shown in Fig. 5.

FIG. 6 is a block diagram of the volume transition rate table 224 in FIG. The volume transition rate table 224 is a table that stores transition data of the theoretical balance of the existing transaction data, and is set by the theoretical value calculation program 207. The table 224 is composed of a plurality of stored records 600, and one record 600 is assigned for each subject code. This record 600 is composed of a subject code storage area for storing a subject code and a plurality of period field groups 610. The number of period fields (value of n) is configured to match the number of period fields in the interest rate forecast value file 222 shown in FIG. Course code storage area 601
Is set in advance when the file 224 is created. The period field group 610 is a field for storing the ratio of the theoretical balance of this period to the theoretical balance of the previous period. The first period (one month ahead of the reference month)
Stores the ratio (percentage display) to the actual data of the reference month.

For example, the first record 600, that is, a 3-month fixed deposit (subject code "10003")
For example, the value of the period 1 field 611 is “10.
Since it is “0”, 100% of the actual balance in the base month corresponds to the theoretical balance one month ahead. In other words, it means that the theoretical balance one month ahead is the same as the actual balance of the base month. Similarly, two months ahead is 75% of the theoretical balance of the previous month (one month ahead) (the value of the period 2 field is "75"), and three months ahead is the same amount as the previous month (two months ahead) (of the period 3 field). The value is “100”).

FIG. 7 shows the file structure of the fund shift information file 225 in FIG. The file 225 is composed of a plurality of fund shift information tables 701 as shown in FIG. Book table 701
Is a table for storing the fund shift information input by the fund shift information setting program 211, and one table 701 is allocated to each of the fund shift source subjects (transfer source subjects in which funds move to other subjects). ..

The structure of the fund shift information table 701 will be described below. This table 701 is composed of a subject code storage area 702 for storing the subject code of the fund shift source and a plurality of record groups 710 for storing shift information of the subject. This record 710 has six storage areas 711, 712, 713, 714, 715 and 716. The shift time area 711 is an area for storing data indicating the time when the fund shift occurs.
The shift rate area 712 is data indicating the shift amount of funds,
Specifically, it is an area for storing the ratio (percentage) of the balance to be shifted with respect to the theoretical balance in the future of the shift. The yield area 713 is an area for storing yield data of funds to be shifted. Shift rotation period area 714
Is an area for storing revolving period data when the funds to be shifted do not shift. The revolving period, as explained earlier, is the repurposing period of funds. The shift destination subject code area 715 is an area for storing data regarding to which subject the funds for the shift of the subject are shifted, that is, the subject code of the shift destination. The shift destination rotation period area 716 is an area for storing the rotation period in the subject where the shifted funds are shifted.

Based on the shift information example shown in FIG. 7,
The storage areas 702, 711 to 716 will be described.
The fund shift information stored in this table 701 is
It is related to the subject code "10003", that is, the 3-month fixed deposit. The fund shift related to this subject occurs once every two months (only one record 710 has shift information, and the value of the shift time area 711 of the first record 710 is "period 2"). Two months ahead, 30% of the theoretical balance for the period is shifted (the value of the shift rate area 712 is "30"), and the amount of the shift is 3.5% for the yield and the turnover period for three periods. Ie 3
It is a month (the value of the yield area 713 is "3.5", and the value of the shift rotation period area 714 is "3"). Three
The amount of money for the shift of the monthly deposit is shifted to the 6-month fixed deposit (the value of the shift destination subject code area 715 is "10").
006 ”). The revolving period in the subject of funds that have been shifted to the 6-month fixed deposit is 6 periods, that is, 6 months (the value in the shift destination revolving period area 716 is “6”). As described above, the above-described fund shift information is set in the table 701 by the fund shift information setting program 2.
11 receives the input from the terminal device 202.

FIG. 8 shows the file structure of the future data file 226 for the amount of money shift in FIG. The fund shift future data file 226 is a file for storing the fund shift future data calculated by the fund shift future data calculation program 212. This file 226 is composed of a plurality of record groups 800 assigned in correspondence with the subject codes. This record 800 includes a subject code area 801 for storing a subject code and a plurality of period fields 810, 820, 830,
It consists of ... The number of period fields (value of n) is configured to match the number of period fields in the interest rate forecast value file 222 shown in FIG. The subject code is set in advance when creating this file 226. In the period fields 810, 820, ...
, And yield areas 812, 822 ,. The balance areas 811, 821, ... Are areas for storing a balance in which a fund shift has occurred in a period and a total balance of a future balance of a balance in which a fund shift has occurred before the period.
That is, this is an area for storing the increase / decrease amount of the balance during the period due to the fund shift with respect to the theoretical balance. The yield areas 812, 822, ... Are areas for storing yields relating to the balance increase / decrease amount due to the fund shift.

Each area 801 and field group 81
The contents of 0, 820, ... Will be described using the first record 800 as an example. This record 800 stores the amount of increase / decrease in the balance of the three-month fixed deposit (the value of the subject code area is “10003”) due to the fund shift, and the yield data thereof. There is no fund shift one month ahead of the reference month
(No data is stored in the period 1 field 810). Two months ahead, as a result of the fund shift, the balance of the period decreased by 900,000 yen from the theoretical balance, and the yield for that balance was 3.
5% (balance area 82 of period 2 field 820
The value of 1 is "-900,000" and the value of the yield area 822 is "3.5"). Even three months ahead, the theoretical balance decreased by 900,000 yen, and the yield for that balance was 3.5% (the value of the balance area 831 of the period 3 field 830 is "-900,000",
The value of the yield area 832 is “3.5”). The example shown in FIG. 8 is the result of calculation of the future data for the funds shift by the funds shift future data calculation program 212 based on the example of the funds shift information shown in FIG. 7. The processing flowchart of this program 212 will be described later with reference to FIGS. 14, 15 and 16.

FIG. 9 shows the file structure of the simulation result file 227 in FIG.
The simulation result file 227 is a file that stores the result of totaling the future theoretical value data of the theoretical value data file 221 and the future data of the fund shift amount of the fund shift amount future data file 226 by the fund simulation result display program 213. Book file 2
The structure of 27 is the same as the file structure of the theoretical value data file 223 described with reference to FIG.

Here, taking the first record 900 as an example, each area 901 and field 902 will be briefly described.
The contents of 910, 920, ... Will be described. Book record 90
0 stores the actual data of the base month of the 3-month fixed deposit subject (the value of the subject code 901 is “10003”) and the future data in the future period reflecting the fund shift amount. The actual balance of the base month is 4 million yen, the yield is 3.4425%, and the balance is 11,475 yen (the value of the balance area 903 of the actual field 902 is "400
10,000 ", the value of the yield area 904 is" 3.4425 ", and the value of the income and expenditure area 905 is" 11,475 "). 1 from the base month
For the month ahead (period 1 field 910), the future balance is 4
, 000,000 yen (value of balance area 911 is "4 million"), its yield is 3.5675% (value of yield area 912 is "3.5675"), income and expenditure is 11,892 yen (value of income and expenditure area 913) Is "11,892"). Two months ahead (period 2 field 920), the future balance is 2.1 million yen (the value of balance area 921 is "2.1 million"), and its yield is 3.6857% (the value of yield area 922 is "3.6.
857 ”), and the balance amount is 6,450 yen (the value of the balance area 923 is“ 6,450 ”). Figure 9
The example of the simulation result shown in FIG. 5 is a compilation of the future theoretical value data shown in FIG. 5 and the future data for the fund shift shown in FIG.

FIG. 10 shows a processing flow chart of the simulation execution control program 205 in FIG. This program 205 is a program for controlling the overall flow of the flowchart of the asset / liability management method shown in FIG. First, the user sets the reference month (that is, the actual month) from the terminal device 202 (step 100).
1). Next, the interest rate forecast setting program 206 is activated to set the forecast value of the interest rate for the future month (step 100).
2). After the interest rate forecast setting program 206 is activated, the theoretical value calculation program 207 is activated to calculate the theoretical value data of the existing transaction data (step 1003).
In the process flow chart of the program 207, in the next step, the fund shift information setting program 211 is activated to input and set the fund shift information associated with interest rate fluctuations in an interactive form with the user (step 1004).
After that, the future data calculation program 21 for the fund shift
2 is started, and the future data for the fund shift is calculated according to the fund shift information set in step 1004 (step 1005). Then, the fund simulation result display program 213 is activated, and the theoretical theoretical value of the existing transaction data and the future data for the fund shift are totaled and the result is output (step 1006). A series of fund shift simulation is completed by the above steps (steps 1001 to 1006). Step 1
In 007, the user is inquired whether to change the condition and execute the re-simulation. If re-simulation is to be performed, the user is inquired whether the interest rate forecast value is changed or the fund shift condition is changed (step 1008). If the interest rate forecast value is changed, the process returns to step 1002, and if the fund shift condition is changed, the process returns to step 1004. When the re-simulation is not performed in step 1007, the simulation execution control program 205 ends.

FIG. 11 shows a processing flowchart of the interest rate forecast setting program 207 in FIG. First, display the interest rate forecast value input screen (step 1
101). An example of the interest rate forecast value input screen is a screen having the same image as the structure of the interest rate forecast value file 222 shown in FIG. However, the item name of the period is displayed in a specific year and month based on the reference month set in step 1001 of the simulation execution control program 205. In the present embodiment, since the reference month is July 1991, “period 1”, “period 2”, “period 3”, ...
August 1st "," September 1991 "," September 1991 "
"Month", ... will be displayed. Further, if the correspondence table between the subject code and the subject name is held, the interest rate forecast value input screen can be displayed with the subject name such as "3 months fixed deposit" instead of "10003". On the interest rate forecast value input screen, the data stored in the interest rate forecast value file 222 is displayed as the initial value. The user uses the terminal device 20.
The predicted value of the interest rate is input by changing the initial value from 2 (step 1102). After inputting the forecast value, the forecast value on the input screen is stored in the interest rate forecast value file 222 (step 1
103). The interest rate forecast setting program 206 ends after executing this step (step 1103).

FIG. 12 shows a processing flowchart of the theoretical value calculation program 207 in FIG.
This program 207 reads out existing transaction data one by one, calculates future theoretical value data of the transaction data, aggregates the data for each subject, and the result is the theoretical value data file 2
23 is a program to be stored. The data example shown in the theoretical value data file 223 of FIG. 5 is one in which the theoretical value calculation program 207 calculates and sets the future theoretical values of the four fixed deposit transaction data of FIG. The processing flowchart of this program 207 is as follows. First,
It is determined whether theoretical values have been calculated for all the subject codes (step 1201). If not calculated for all the subjects, go to step 1202, and internal array variables TZ (i), TR (i), Z (i), R (i), i =
Initialize the values of 0, 1, ..., n to "0" and focus on one of the uncalculated subjects (hereinafter, this subject will be referred to as C
Describe as NO). Here, the value of n that defines the size of the internal array variable is made to match the value of n that defines the number of period fields in the interest rate forecast value file 222 or the like. After executing the initialization process in step 1202, it is determined whether or not theoretical value data has been calculated for all transaction data (all records in the transaction data file 221) with the subject code CNO (step 120).
3).

If not, execute steps 1204 and 1205 described below, and execute step 1
Return to 203. In step 1204, the unprocessed transaction data (the transaction content stored in the unprocessed record) is referred to, and the base month actual result, the theoretical balance and the yield are calculated. Then, the balance and yield are Z (i) and R, respectively.
(i), i = 0, 1, ..., N are stored. Where i = 0
Stores the actual result of the reference month, and stores the theoretical value of the period i, i.e., i months ahead of the reference month, for others. Taking the transaction data stored in the first record 300 of the time deposit transaction file 221 shown in FIG. 3 as an example, the reference month is 19
Since July 1991, the actual amount for the month was a deposit balance of 2 million yen (Z (0) = 2 million), and the yield was 3.3.
8% (R (0) = 3.38). This transaction is 1991
It expires on August 1st of each year, but it has automatic renewal conditions, so the three-month fixed deposit transaction will continue even after the maturity. Therefore, one month ahead of the reference month, namely 1991
The balance of deposits in August is 2 million yen (Z (1) = 2 million). On the other hand, the yield at the time of continuation is the yield (interest rate forecast value) of the 3-month time deposit at this point. Therefore, the interest rate forecast value file 222 is searched, and the forecast value one month ahead of the reference month (the value of the period 1 field 411) is stored in R (1) (R (1) = 3.63). As described above, the future theoretical value is calculated for two months ahead, three months ahead, and so on, and the internal array variable Z is calculated.
(i), R (i), i = 2, ..., N.

In step 1205, the future theoretical value data per transaction data calculated in the previous step (step 1204) is aggregated for each subject. The aggregation processing result is the internal array variables TZ (i), TR (i), i = 0,
, ..., n. Specifically, the yield is the weighted average of the balance, and the balance is cumulative. That is, TR (i) = {TZ (i) × TR (i) + Z (i) × R
(i)} ÷ {TZ (i) + Z (i)}, TZ (i) = TZ (i) +
Calculate Z (i), i = 0, 1, ..., N.

When it is determined in step 1203 that theoretical value data has been calculated for all transaction data having the subject code CNO, the following steps are executed.

First, the balance amount is calculated for each period from the balance and yield data aggregated for each subject (TZ (i) × TR
(i) ÷ 100 ÷ 12) and the course code of the theoretical value data file 223 is CN along with the balance and yield data.
Store in the record O. Data for i = 0 is in the actual field 502, and other data is in the period i field 5
It is stored in 10, 520, 530, .... Next, a process of calculating the future transition rate of the theoretical balance and storing it in the volume transition rate table 224 is executed (step 120).
8). Before executing step 1208, it is determined whether step 1208 has been executed for all future period fields (step 1207). If not, execute step 1208. If the unprocessed period field is i, the future trend rate of theoretical balance is TZ (i) ÷
TZ (i−1) + Z (i) × 100 is calculated and stored in the period field (period i field) of the record with the subject code CNO of the volume transition rate table 224. Then, the process returns to step 1207. Step 120
Step 1208 for all duration fields in 7
If it is determined that the step has been executed, the process returns to step 1201.
If it is determined in step 1201 that theoretical values have been calculated for all the subject codes, this program 207 ends.

FIG. 13 shows a processing flowchart of the fund shift information setting program 211 in FIG. This program 211 receives the shift information of the funds accompanying the interest rate fluctuation from the user interactively,
The data is stored in the fund shift information table 701 of the fund shift information file 225. First, the user is inquired whether or not to initialize all the fund shift information tables 701 of the fund shift information file 225 (step 1301). If it is to be initialized, all the fund shift information tables 701 are initialized (“0” is stored in all) (step 1302), and step 1
Go to 303. If initialization is not performed in step 1301, go to step 1303. In step 1303, the subject code for setting the fund shift information is received from the user via the terminal device 202. Next, an input screen for fund shift information is displayed (step 1304).
An example of the input screen for the fund shift information has the same screen configuration as the structure of the fund shift information table 701 shown in FIG. 7.

The input screen is displayed (step 1304)
After that, it is judged whether or not the fund shift information of the designated subject code is already set (step 130).
5). The determination method is to check whether or not there is a table 701 in which the designated subject code is stored in the subject code area 702 of the fund shift information table 701. If there is the stored table 701, it is determined that the fund shift information has already been set. If it is determined in step 1305 that it has been set, steps 1306, 1307 and 1308 are sequentially executed. If it is determined that they have not been set, steps 1309 and 1310 are sequentially executed.

In step 1306, the already-set fund shift information relating to the designated subject code is displayed on the input screen. Here, if the correspondence table of the subject code and the subject name is held, when the input screen of the fund shift information has the same image screen configuration as the fund shift information table 701 shown in FIG. 7, the subject code Can display subject names instead. In step 1307, the user, via the terminal device 202, modifies the set data displayed on the input screen to obtain the fund shift information (shift time, shift rate, yield for shift, rotation period for shift, (Course code of shift destination and rotation period of shift destination)
Enter. After completing the input, in step 1308, the data on the input screen is stored again in the fund shift information table 701 in which the subject code is stored.

As described above, steps 1306 to 130
After sequentially executing step 8, go to step 1311. On the other hand, in step 1309, the user inputs the fund shift information via the terminal device 202. After input, step 1310
Then, the unused fund shift information table 701 (table 70 in which the value of the subject code area 702 is initialized)
Store the subject code specified in 1) and the data on the input screen in an appropriate area. As described above, after step 1309 and step 1310 are sequentially executed, the process proceeds to step 1311. In step 1311, the user is inquired whether or not the setting of the fund shift information is completed. If not completed, the process returns to step 1303 to input new fund shift information. If it is finished, the program 211 is finished.

FIG. 14 shows a processing flow chart of the fund shift amount future data calculation program 212 in FIG. The program 212 calculates the future data for the fund shift according to the data input and set by the fund shift information setting program 211. The data example of the fund shift minute preceding data file 226 of FIG. 8 is one in which the fund shift minute future data calculation program 212 calculates and sets the fund shift minute future data based on the fund shift information example of FIG. 7. ..

The processing flow chart of this program 212 is as follows. First, the future data file 226 for the amount of money shift is initialized (“0” is set in all storage areas) (step 1410). Next, it is determined whether or not the future data for the fund shift has been calculated for all the fund shift information tables 701 for which data has been set (step 1401). If not, in step 1402, the subject code area 702 of the uncalculated table 701 (hereinafter, referred to as TB for convenience)
Value (hereinafter referred to as K for convenience) is read out. next,
It is determined whether future data has been calculated for all the non-empty shift information storage records 710 in the fund shift information table 701 (TB) (step 140).
3). If it is determined that all records 710 have been calculated, the process returns to step 1401. If it is determined that it has not been calculated, the following steps (step 1
404 to step 1409) are sequentially executed.

In step 1404, the uncalculated record 7
The fund shift information stored in 10 is read out. Hereinafter, for convenience, the value of the shift time area 711 is T, the value of the shift rate area 712 is SR, the value of the yield area 713 is RR, the value of the shift minute rotation period area 714 is TA, and the value of the shift destination code area 715 is The value of the SK and shift destination rotation period area 716 is described as TC. Step 14
In 05, the theoretical value data file 223 is searched and the theoretical balance data at the shift time T of the subject code K (hereinafter, referred to as RZ for convenience) is read. In step 1406, the following data are set in the internal variables SKK, SZZ, SRR and STT. K for SKK, R for SZZ
Z × SR ÷ 100 × (-1), SRR is RR, ST
Set TA to T.

In step 1407, the future data of the fund shift source is calculated and stored in the future data file 226 for the fund shift. The detailed flowchart of step 1407 will be described later with reference to FIGS. 15 and 16. In step 1408, SK is set to the internal variable SKK,
The value of RZ × SR ÷ 100 in the internal variable SZZ, the internal variable S
TC is set in the RR as the interest rate forecast value at the shift time T of the subject code SK (the interest rate forecast value file 222 is searched to obtain the data), and the internal variable STT is set. Step 14
In step 09, the data is stored in the future data file 226 of the fund shift destination by the same processing procedure as in step 1407.
The above series of steps (steps 1404 to 14)
09) is sequentially executed, and then the process returns to step 1403.

FIGS. 15 and 16 are steps 1407 and 140 of the processing flow chart of the fund shift amount future data calculation program 212 shown in FIG.
9 shows a detailed processing flowchart of No. 9.

First, the following data is set in the internal variables TZZ and TRR (step 1501). In the internal variable TZZ, the value of the balance area at the shift time T of the record 800 having the subject code SKK in the fund shift amount future data file 226 is set. The value of the yield area of the period field is set in the internal variable TRR. In the next step (step 1502), TRR = {TZZ × TR
R + SZZ × SRR} / {TZZ + SZZ} and TZ
Calculate Z = TZZ + SZZ and record 800 of the subject code SKK in the data file 226 of the future data for the fund shift.
The value of TZZ is stored in the balance area and the value of TRR is stored in the yield area at the shift time T. After execution of step 1502, the internal variable I is initialized (I is set to "1") (step 1503). Then, it is sequentially determined whether or not the future data has been calculated for all the periods after the shift time T (step 1504). If not,
First, the internal variable I is incremented by "1" (step 1505). In the next step (step 1506), the subject code SK of the data file 226 for the future of the fund shift.
The balance and yield data of the next period field (hereinafter referred to as NT for convenience) of the record 800 of K are read out and set in internal variables TZZ and TRR, respectively. In step 1507, SZZ × (value of the period field NT of the record having the subject code SKK in the volume transition rate table 224) is calculated and the value is set in the internal variable SZZ.

After the data is set in the internal variable SZZ, it is determined whether the value of the internal variable I is larger than the internal variable STT (rotation period) (step 1601). If big,
Step 1602 and step 1603 are sequentially executed, and the process proceeds to step 1604. If not, step 16
Go to 04. In step 1602, the value of the period field NT of the record having the subject code SKK in the interest rate forecast value file 222 is set in the internal variable SRR. In step 1603, the internal variable I is initialized (I is set to "1"). In step 1604, TRR = {TZZ ×
Calculate TRR + SZZ × SRR} / {TZZ + SZZ} and TZZ = TZZ + SZZ, and store the value of TZZ in the balance area of the period field NT of the record code 800 of the fund shift amount future data file 226 and the value of TRR in the yield area. To do. After executing this step (step 1604), the process returns to step 1504. If it is determined in step 1504 that the future data has been calculated for all the period fields, the program 221 ends.

FIG. 17 shows a processing flowchart of the fund simulation result display program 213 in FIG. This program 213 is a forward-looking theoretical value of existing transaction data calculated by the theoretical-value calculating program 207 and a forward-looking data calculating program 21 for a fund shift.
It is a program for totaling the future data for the fund shift calculated in 2 and storing it in the simulation result file 227 and outputting the result. The data example of the simulation result file 227 of FIG. 9 is the data example of the theoretical value data file 223 shown in FIG. 5 and the data example of the money shift future data file 226 shown in FIG. And set it. The processing flowchart of this program 213 is as follows.

First, it is judged whether or not the simulation results are aggregated for all the subject codes (step 17).
01). If not, the value of the actual field 502 of the theoretical value data file 223 of the uncollected subject code (hereinafter, referred to as K for convenience) is set to the simulation result file 22.
7 in the actual field 902 (step 170
2). Then, with respect to the subject code K, it is determined whether or not the totalization has been completed sequentially for all period fields (step 1703). If not, the future theoretical value of the next unaggregated period field (hereinafter, described as T for convenience) is read from the theoretical value data file 223 (step 1704).
Hereinafter, for convenience, the theoretical balance is described as Z, the yield is R, and the balance is S. The future data file 226 for funds shift is searched to determine whether there is funds shift data in the period field T of the subject code K (step 1705).
If there is no fund shift data, step 1706 is executed and the process returns to step 1703. If there is fund shift data, step 1707 and step 1708 are sequentially executed, and the process returns to step 1703.

At step 1706, the read out theoretical value (Z, R, S) is stored in the period field T of the simulation result file 227. Step 170
In 7, the money shift data of the period field T (the balance is described as SZ and the yield is described as SR below) is read from the money shift amount future data file 226. Step 1708
Then, the theoretical value data and the fund shift data are totaled as follows and stored in the period field T of the simulation result file 227. The value of Z + SZ (hereinafter referred to as TZ) for the balance, and the yield is {Z × R + SZ × SR}
÷ TZ × 100 value (hereinafter referred to as TR), balance is TZ ×
Set the value of TR / 100/12. Step 170
After executing 6 and step 1708, the process returns to step 1703. If it is determined in step 1703 that the aggregation has been completed for all period fields, the process returns to step 1701. If it is determined in step 1701 that the aggregation has been completed for all the subject codes, the result of the fund shift simulation stored in the simulation result file 227 is output to the terminal device 202, and the program 2
13 is ended.

As described above, according to the present embodiment, the user can arbitrarily set the fund shift information and analyze the change in the amount of funds due to the fluctuation of the interest rate and the influence on the balance amount. In addition, the calculation of the future theoretical value and the calculation of the future data focusing only on the amount of fund shift are separated, so when performing simulations with different fund shift information, a large amount of transaction data is re-created one by one. It is not necessary to read the items and execute the simulation. Therefore,
The feature is that the simulation execution time when changing the fund shift information is short.

It should be noted that this system can be used as a comprehensive simulation system that also takes into account future new transactions. This can be achieved by providing means for inputting transaction data for new execution, means for holding input data, and means for holding future data for new transaction. As an example of the file structure for holding the input data, the same structure as the fund shift information file 225 may be used.
However, the area groups 715 and 716 that store data relating to the fund shift destination are unnecessary. Shift time area 71
1 stores the new execution time, and the shift rate area 712 stores the execution amount. By making the file structure for storing the data for the new transaction the same as that of the fund shift information file 225, the fund shift information setting program 211 can be used as the input means of the data for the new transaction. Then, the input new transaction data is regarded as fund shift information, and the fund shift minute future data calculation program 212 is executed. For the output, a file having the same configuration as the future data file 226 for the fund shift is separately provided, and the future data for the new execution is stored in this file. However, note that in the calculation of the future data for the fund shift, the information about the shift amount was expressed as a ratio to the theoretical balance in the period field, but it should be noted that the new amount is given as the execution amount. Specifically, in step 1406 of FIG. 14, the data SR stored in the internal variable SZZ may be set as it is as the balance of the period. Further, a group of steps (step 1408 and step 140) for calculating the future data of the fund shift destination by the fund shift information setting program 211.
Make sure to skip 9).

As described above, the future data for the new execution can be calculated. By summing this data and the future theoretical value data and the future data for the fund shift, the simulation considering the new execution is executed. be able to.

Further, in the first embodiment, the information about the fund shift is set by the user, but it can be modified so that the fund shift information is extracted from the past performance data and used. .. That is, by inputting time-series data of transaction results and time-series data of interest rates, the characteristics of the relationship between interest rate fluctuations and time-series transitions of actual data can be analyzed by using known methods such as multivariate analysis. be able to. If the output routine of the analysis program is configured so that the analysis result matches the configuration of the fund shift information file 225, the system configuration of the first embodiment is not changed at all.

[0063]

According to the present invention, fund shift information associated with interest rate fluctuations can be arbitrarily set to simulate the transition of future data of the amount of funds and the influence of profit. Therefore, it is possible to formulate highly accurate cash and profit plans in consideration of the effect of the movement of funds due to interest rate fluctuations. In addition, the calculation of the future theoretical value and the calculation of the future data focusing only on the amount of fund shift are separated, so when performing simulation with different fund shift information, it is necessary to reprocess a large amount of transaction data. The simulation execution time when changing the fund shift information is short.

[Brief description of drawings]

FIG. 1 is a flowchart showing a procedure of a fund shift simulation according to an embodiment of the present invention.

FIG. 2 is a block diagram of a system for carrying out a cash shift simulation.

3 is an explanatory diagram showing an example of a transaction data file shown in FIG.

FIG. 4 is an explanatory diagram of an interest rate forecast value file in FIG.

5 is an explanatory diagram of a theoretical value data file in FIG.

FIG. 6 is an explanatory diagram of a volume transition rate table in FIG.

FIG. 7 is an explanatory diagram of a fund shift information file in FIG.

FIG. 8 is an explanatory diagram of a future data file for a fund shift in FIG.

9 is an explanatory diagram of a simulation result file in FIG.

10 is a processing flowchart of the simulation execution control program in FIG.

11 is a processing flowchart of the interest rate forecast setting program in FIG.

FIG. 12 is a processing flowchart of a theoretical value calculation program in FIG.

FIG. 13 is a processing flowchart of a fund shift information setting program in FIG.

14 is an overall processing flowchart of a fund shift portion future data calculation program in FIG.

FIG. 15 is a detailed processing flowchart of some processing steps of the fund shift amount future data calculation program in FIG. 14;

16 is a detailed processing flowchart of some processing steps of the fund shift future data calculation program in FIG.

17 is a processing flowchart of the fund simulation result display program in FIG.

[Explanation of Codes] 205 ... Simulation execution control program, 206
… Interest rate forecast setting program, 207… Theoretical value calculation program, 211… Fund shift information setting program, 212
… Future data calculation program for fund shifts, 213…
Fund simulation result display program, 221 ... Transaction data file, 222 ... Interest rate forecast value file, 22
3 ... Theoretical value data file, 224 ... Volume transition rate table, 225 ... Fund shift information file, 226 ...
Data files 227 for simulation of fund shifts ... Simulation result files.

Claims (5)

[Claims] 1. An asset / liability management system for managing asset / liability information of a financial institution, means for recording future interest rate information, means for calculating future financial figures of individual transaction data by referring to the interest rate information, A means for recording information on the movement of funds that occurs in response to movements in interest rates, a means for calculating future financial figures relating to the portion of the movement of funds, and a means for recording future financial figures calculated from the individual transaction data and the portion of the movement of the funds. A fund shift simulation system characterized by providing a means for aggregating future financial figures, simulating the movement of funds due to future interest rate trends, and analyzing the effect on future financial figures. 2. The cash shift according to claim 1, wherein the cash transfer information is composed of a cash transfer source and cash transfer destination information, thereby simulating a cash transfer between the subjects serviced by the financial institution. Simulation system. 3. The fund shift simulation system according to claim 1, wherein the fund transfer information is obtained by analyzing a relationship between past interest rate time series data and financial count time series data. 4. The future financial plan according to claim 1, further comprising means for recording new transaction data planned in the future and means for calculating a future financial figure of the new transaction data, in consideration of future interest rate trends. Fund shift simulation system to simulate. 5. A method of managing assets and liabilities of a financial institution,
A method for managing assets and liabilities, characterized by analyzing changes in the current cash structure associated with future interest rate movements and making a future cash plan based on the analysis information.